投资者情绪、会计应计与超额回报——基于中国上市公司的实证分析

以我国上市公司1999至2007年的数据为样本,从行为金融学中投资者情绪的角度,深刻剖析投资者情绪对基于会计应计投资策略获得超额回报的影响。研究发现:1、持有会计应计比例低公司的股票,在投资者情绪低迷时期获得的超额回报会大于投资者情绪高昂时期;同样的,持有会计应计比例高公司的股票,在投资者情绪高昂时期产生的投资亏损要大于投资者情绪低迷时期;2、机构投资者持股比例小的公司的股价,更容易受投资者情绪的影响,因而,基于会计应计策略的超额回报在不同情绪下的差异要大于机构持股比例大的公司。本文试图从投资者情绪的角度,分析其对"应计异象"的影响,并且进一步证明,机构持股大小会干扰其影响的程度。

Investor Sentiment, Accruals and Excess Returns: Empirical Analysis of China Listed Companies

With the cross-section data of listed companies from 1999 to 2007, this paper uses empirical analysis of the classified samples to examine whether the stock price reactions to accruals vary systematically with the level of investor sentiment. Our results suggest that: 1. holding low accrual firms following pessimistic sentiment periods earns significantly higher excess returns than holding low accrual firms following optimistic sentiment periods; Similarly, holding high accrual firms following optimistic sentiment periods losses significantly larger than holding high accrual firms following pessimistic sentiment periods. Overafl, our results indicate that investor sentiment influences the source of excess returns from accruals-based trading strategies; 2. The stock in companies which owns smafl holding proportion of institutional investors are more sensitive to the impact of investor sentiment As a result, excess returns from accruals-based strategies between different conditions of investor sentiment is larger within smafl stock companies than large stock companies. This paper attempts to find evidence on whether the investor sentiment has an impact on "accrual anomaly'", and further evidence indicates that the size of institutional ownership of companies would interfere with the impact.